Benchmarks - ITA Wealth Management Forum https://itawealth.com/community/benchmarks/ ITA Wealth Management Discussion Board en-US Fri, 10 Apr 2026 19:42:39 +0000 wpForo 60 Jensen Performance Index https://itawealth.com/community/benchmarks/jensen-performance-index/ Tue, 06 Jul 2021 19:43:24 +0000 Platinum and Lifetime members know how much I've been advocating Jensen's Alpha or Jensen Performance Index as a way to measure portfolio performance.  Here is a useful link to additional information on the Jensen.

Lowell

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/jensen-performance-index/ TWR and IRR Calculations https://itawealth.com/community/benchmarks/twr-and-irr-calculations/ Tue, 25 May 2021 09:51:33 +0000 Here is the link to one of the best articles I've ever read that explains the difference between Time-Weighted Return (TWR) and the Internal Rate of Return (IRR) - frequently called dollar weighted return.

The portfolio software I use (Investment Account Manager) uses TWR to calculate benchmark returns while individual portfolio returns are calculated using IRR.  Depending on cash flowing in and out of a portfolio, results are skewed as you see if you read the example near the end of the above article.

Here is my thinking.  While this comparison would not meet GIPS standards, I'm leaning more and more toward using the IRR and Jensen's Alpha values from the passively managed Schrodinger as the standard.  In other words, how do the Dual Momentum and Relative Strength portfolios compare with the Schrodinger?  If the actively managed portfolios are unable to surpass the passively managed Robo Advisor portfolio, why go to the added effort?

The one reason for the effort is to protect capital, one thing the Schrodinger does not do.

Lowell

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/twr-and-irr-calculations/ Differences Between TWR and IRR https://itawealth.com/community/benchmarks/differences-between-twr-and-irr/ Mon, 29 Mar 2021 11:21:14 +0000 Here is the link to an excellent article explaining the differences between Time-Weighted Return (TWR) and Internal Rate of Return (IRR). Both measurements meet Guide to Global Investment Performance Standards, formerly AIMR-PPS.

Using different input the example could skew the final results in exactly the opposite direction.

If you are familiar with the Investment Account Manager (IAM) software, the benchmarks are calculated using TWR while the individual portfolio uses the IRR calculation. The reason for taking different approaches is covered in the article.

Lowell

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/differences-between-twr-and-irr/ Performance Since 4/30/2019 https://itawealth.com/community/benchmarks/performance-since-4-30-2019/ Fri, 14 Feb 2020 19:26:27 +0000 Since 4/30/2019 eleven (11) of the sixteen (16) portfolios are growing faster than the Schrodinger portfolio.  This data is as of 2/13/2020.  All but two portfolio grew faster than the Schrodinger through the month of January.

From the end of last April through 2/13/2020 the IRR for the Schrodinger was 15.25% - a strong growth period.

Lowell

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/performance-since-4-30-2019/ Investment Account Manager Discount https://itawealth.com/community/benchmarks/investment-account-manager-discount/ Wed, 15 May 2019 20:27:16 +0000 Just a reminder that ITA Platinum members qualify for a 30% discount on the purchase of the portfolio tracking software, Investment Account Manager.  Click on the link below to find the promo code.

https://itawealth.com/investment-account-manager-software-discount/

Lowell

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/investment-account-manager-discount/ Performance Tables https://itawealth.com/community/benchmarks/performance-tables/ Tue, 29 Jan 2019 12:17:16 +0000 Be sure to check both Performance Table blogs.  The January 28th blog missed its schedule so you may have missed it.

Lowell

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/performance-tables/ Benchmark Posts https://itawealth.com/community/benchmarks/benchmark-posts/ Thu, 17 Jan 2019 22:04:23 +0000 Investors interested in tracking the performance of their portfolio should consider purchasing Investment Account Manager (IAM).  Be sure to take advantage of the 30% discount.  Search the blog for the software.

IAM software permits one to track as many as six benchmarks.  For the ITA portfolios, I've been using the VTHRX or Vanguard's 2030 Target Index Fund.

Go to Categories and click on Benchmarks for more information.

]]> Benchmarks Lowell Herr https://itawealth.com/community/benchmarks/benchmark-posts/